Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.2444
Annualized Std Dev 0.4368
Annualized Sharpe (Rf=0%) 0.5596

Row

Daily Return Statistics

Close
Observations 3711.0000
NAs 1.0000
Minimum -0.2428
Quartile 1 -0.0094
Median 0.0024
Arithmetic Mean 0.0012
Geometric Mean 0.0009
Quartile 3 0.0140
Maximum 0.2459
SE Mean 0.0005
LCL Mean (0.95) 0.0004
UCL Mean (0.95) 0.0021
Variance 0.0008
Stdev 0.0275
Skewness -0.1940
Kurtosis 9.0038

Downside Risk

Close
Semi Deviation 0.0201
Gain Deviation 0.0192
Loss Deviation 0.0221
Downside Deviation (MAR=210%) 0.0236
Downside Deviation (Rf=0%) 0.0195
Downside Deviation (0%) 0.0195
Maximum Drawdown 0.8399
Historical VaR (95%) -0.0435
Historical ES (95%) -0.0669
Modified VaR (95%) -0.0405
Modified ES (95%) -0.0677
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 2012-09-06 -0.8399 1222 339 883
2020-02-20 2020-03-20 2020-07-01 -0.5172 93 22 71
2018-08-30 2018-12-24 2019-07-10 -0.4246 215 80 135
2015-11-05 2016-02-09 2016-08-05 -0.3078 189 65 124
2015-07-21 2015-08-25 2015-11-03 -0.2647 75 26 49

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA -1 -3.4 0.9 -0.8 -2.7 -1.3 -0.1 -8.1
2007 0.1 -1 0.3 0.6 -0.1 0.6 1.2 1.7 1.7 -3 -0.7 -1.8 -0.4
2008 3.3 -3 8.4 6.3 1.2 2.6 -2.4 -3.1 -2.6 0.5 -14.9 1.8 -4
2009 -3.8 -2.1 2.8 0.5 6 0.2 -0.7 -3.7 -5.8 -5.3 2.1 -1.6 -11.5
2010 2.1 2.8 -0.1 -3.8 -1.9 -0.6 0.5 5.7 -0.2 0 4.2 -0.7 8
2011 3.7 -3.2 0.1 -0.1 -4.3 3.1 -0.7 -2 -5.1 -5.3 1.4 -0.5 -12.6
2012 1.6 1.5 -0.5 0.3 -5.4 6.2 -0.5 1.4 -0.5 2.9 -0.2 4 10.8
2013 2.3 0.8 -1.4 -0.8 -1.9 1.4 2 -1.3 2.2 0 1.1 1.3 5.8
2014 -0.4 -0.3 3.5 0.6 0.1 2.2 -0.7 0.8 -3.2 2.7 -2.3 -2.1 0.6
2015 -1.5 -0.9 -1 2.7 0.6 1.5 -0.2 -6 0.9 -0.9 2 -2.5 -5.4
2016 0.4 6.4 2.1 -1.1 -0.1 1 1 0.5 1.4 -1.4 -3.4 -2 4.6
2017 1.4 2.2 -0.1 1.7 0.9 -0.1 0.4 0 1.4 0 -0.9 -1.3 5.6
2018 -1.7 -3.2 3.7 2.2 3.1 0.3 1.1 0.2 0.3 2.9 1.5 1.6 12.6
2019 -0.9 1.5 2.7 -0.8 -3.3 2.6 -1.1 -0.4 -1.6 1.9 -0.9 0.4 -0.4
2020 -3.2 1 -8.4 -6 1.1 2.5 3.6 3.3 3 -4.7 2.9 0.5 -5.4
2021 4.9 5.9 0.9 NA NA NA NA NA NA NA NA NA 12.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2006-06-21  4.52 SPY    125.  0.0074   0.0122  -0.0089  -0.0412   0.0291    0.257   0.0247 GLD    58.3  0.018     0.0487
2 2006-06-22  4.41 SPY    124. -0.0044  -0.0132  -0.0057  -0.0434   0.0238    0.265   0.0214 GLD    57.7 -0.0103    0.0072
3 2006-06-23  4.40 SPY    124. -0.0002  -0.0017  -0.0137  -0.0443   0.0382    0.263   0.0262 GLD    58.0  0.0045    0.0054
4 2006-06-26  4.41 SPY    125.  0.0044   0.0107  -0.0215  -0.0387   0.0505    0.282   0.0263 GLD    58.3  0.005     0.0341
5 2006-06-27  4.25 SPY    124. -0.0086  -0.0015  -0.0348  -0.0411   0.0399    0.254   0.0121 GLD    57.7 -0.0103    0.0066
6 2006-06-28  4.30 SPY    125.  0.0068  -0.0021  -0.0107  -0.0406   0.0383    0.277   0.0075 GLD    57.5 -0.00240  -0.0135
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart